On the distribution of the duration of negative surplus

Dickson, David C.M.; Reis, Alfredo D. Egídio dos

http://hdl.handle.net/10400.5/24479

Utilize este identificador para referenciar este registo.

Nome:	Descrição:	Tamanho:	Formato:
Alfredo Egidio dos Reis 1995.pdf		1.64 MB	Adobe PDF	Ver/Abrir

Contacte-nos

Autores

Dickson, David C.M.

Reis, Alfredo D. Egídio dos

Resumo(s)

In the classical risk model we allow the surplus process to continue if the surplus falls below zero. We consider the distributions of the duration of a single period of negative surplus and of the total duration of negative surplus. We derive explicit results where possible and show how to approximate these distributions.

Palavras-chave

Ruin Theory Negative Surplus Severity of Ruin Failure Rate Recursive Calculation

URI

http://hdl.handle.net/10400.5/24479

Citação

Dickson, David C.M. and Alfredo D. Egídio dos Reis. (1995) "On the distribution of the duration of negative surplus." The University of Melboume : Centre for Actuarial Studies - Department of Economics. Research Paper Series Nº17/ 1995: pp. 1-19.

Editora

The University of Melboume

Coleções

DM -Artigos em Revistas Internacionais / Articles in International Journals

Ver registo completo